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Hello,
No such option as of now.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "jtelang" <jtelang@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, September 26, 2003 2:09 AM
Subject: [amibroker] Re: Portfolio trading
> Tomasz,
>
> Is it possible to know a symbol's rank and/or whether or not its in
> MaxRanked at runtime while in backtest? I couldn't find something
> like that in the docs, but just wanted to confirm.
>
> Do you (and others) feel it would be a good feature to have? For
> example, lets say you wanted to try a strategy as - "if this stock
> was a high flier, i.e. within MaxRanked for last couple of days, and
> today its not, then may be its a signal (long or short depending on
> your ranking algo)".
>
> Thanks.
>
> Jitu
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
> wrote:
> > Herman,
> >
> > Of course PositionScore can be changed dynamically.
> > If is actually done so in sample formula. The score is DYNAMIC
> > and separate for each security.
> >
> > Scores are evaluated each bar and sorted. TOP "max. traded"
> > symbols are being traded.
> >
> > But scoring happens BEFORE evaluating portfolio value (trading).
> > This is important to understand that internal procedure is:
> > - calculating score (by executing your AFL formula)
> > - sorting by scores (ranking)
> > - trading highest ranked securities
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Herman van den Bergen" <psytek@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Friday, September 26, 2003 1:31 AM
> > Subject: RE: [amibroker] Portfolio trading
> >
> >
> > > Thanks Tomasz,
> > >
> > > "Below you wrote: Score is PER SYMBOL. You need separate score
> for EACH
> > > security.
> > > So you can use individual Equity as score (taken from Equity()
> function)
> > > but you can not use portfolio equity as score because it is only
> one."
> > >
> > > But the Portfolio Equity is based on the price movement of the n
> > > highest-scored stocks, not on the Equity resulting from trading
> the
> > > individual stock... so the Portfolio will not reflect the
> additional gains
> > > made by trading the individual stocks. I mean, a single scoring
> period
> > > cannot contain several trades?
> > >
> > > Can the PositionScore be changed dynamically, a different one for
> each stock
> > > tested?
> > >
> > > many thanks,
> > > herman
> > >
> > >
> > >
> > >
> > > -----Original Message-----
> > > From: Tomasz Janeczko [mailto:amibroker@x...]
> > > Sent: Thursday, September 25, 2003 7:21 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: Re: [amibroker] Portfolio trading
> > >
> > >
> > > Hello,
> > >
> > > > I am probably not the only one who will have to struggle with
> the new
> > > > portfolio features so i might as well post my questions to the
> board :-)
> > > The
> > > > Regular Mode appears to be easy and seems to work fine.
> > > >
> > > > However i have some questions about the Ranking/Scoring mode:
> > > >
> > > > 1) The Help says: "This mode uses user-defined score to rank
> securities
> > > and
> > > > enter trades in highest scored securities. Buy/sell/short/cover
> signals
> > > are
> > > > IGNORED in that mode."
> > > >
> > > > Does this mean that securities are purchased more-or-less like
> buy&hold: a
> > > > position stays open for as long as the security has the top
> score?
> > >
> > > Yes. Top "max traded" securities are traded.
> > > If you want to exit position you have to set PositionRank to zero.
> > >
> > > > 2) I do not want to just switch securities passively (slow
> trading) I
> > > would
> > > > like to switch actively traded stocks. Especially Stocks that
> are traded
> > > > with different systems, i.e. using different and unrelated
> periods and
> > > > criteria. So, i want the Equity (system performance) to be
> my "Score".
> > >
> > > Score is PER SYMBOL. You need separate score for EACH security.
> > > So you can use individual Equity as score (taken from Equity()
> function)
> > > but you can not use portfolio equity as score because it is only
> one.
> > >
> > >
> > > >
> > > > 3) It appears that the stocks are Scored daily, especially with
> respect to
> > > > item 2) above I would like to be able to Score "periodically",
> either at
> > > > regular intervals or at afl-determined times. Is this possible?
> > >
> > > Yes it is possible. Just use "ValueWhen" function to hold the
> score for
> > > defined period
> > >
> > > PositionRank = ValueWhen( DayOfWeek() == 5, your_formula ); //
> this will
> > > change scores only on fridays.
> > >
> > > Hope this helps.
> > >
> > > Best regards,
> > > Tomasz Janeczko
> > > amibroker.com
> > > ----- Original Message -----
> > > From: "Herman van den Bergen" <psytek@xxxx>
> > > To: "AmiBroker" <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Friday, September 26, 2003 1:11 AM
> > > Subject: [amibroker] Portfolio trading
> > >
> > >
> > > > your comments will be much appreciated!
> > > >
> > > > herman.
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
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>
>
>
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>
>
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